Allan McGregor's mistake gave Lokeren the winner and left Hull with it all to do to make the Europa League group stage. Photograph: Jason Cairnduff/Action Images

A mistake from Allan McGregor proved costly as Hull City slipped to a humbling defeat against Lokeren. McGregor saved a penalty to give Hull victory in the Premier League on Saturday but the goalkeeper was needlessly caught in possession by Hans Vanaken, who went on to give the Belgian side a deserved victory.

“We’ve had our first lesson of what playing in Europe is about,” Steve Bruce said. “Concentration levels are paramount and we’ve made a mistake which cost us. We had three of four wonderful opportunities to score late on but unfortunately missed them.

“If you make a mistake like that, at this level, it’s an awful way to lose a match. McGregor was a hero on Saturday when he saved a penalty but he’s made a mistake which has cost us.”

While this is Hull’s first adventure into European competition, their hosts in north-west Belgium boast a decent pedigree. They reached the Uefa Cup quarter-finals in 1981, the year Ipswich Town, managed by Bobby Robson, went on to win the competition.

Lokeren have won the Belgian Cup twice in three seasons and possess recent experience of this stage of the Europa League, having been beaten by Viktoria Plzen in the 2012 play-offs.

If they did not know it before, Hull were given a lesson in how challenging the step up to Europe can be in the previous stage, the third qualifying round, when they were 10 minutes away from an early exit. The Slovakian team AS Trencin were close to an away-goals victory when drawing 1-1 at the KC Stadium until Sone Aluko struck a winning goal to send Hull through.

In an effort to cope with the excursions of Europe, Bruce has been making moves in the transfer market. An £8m bid for striker Jordan Rhodes has been rejected by Blackburn Rovers. Hull are expected to place another bid but Blackburn will demand £12m for the 24-year-old who is under contract until 2019.

Bruce needs new blood having lost the £7m summer signing Robert Snodgrass to a knee injury that will keep him out for six months. Hull have already spent more than £20m this summer but have more to spend after selling Shane Long to Southampton for £12m.

Yannick Sagbo was chosen to spearhead the attack and he should have put Hull ahead in the seventh minute. Maynor Figueroa roamed forward and was given plenty of time to cross from the left to find Sagbo’s feet in the six-yard box. Sagbo was tackled as he shot, allowing Denis Odoi to clear the tame effort from under the crossbar.

For much of the match, Hull were reduced to trying their luck from distance and Lokeren went close before the break. Jordan Remacle’s free-kick was not properly cleared and Nill De Pauw’s volley dipped narrowly over McGregor’s crossbar.

De Pauw caused another scare early in the second half when his drive from the edge of the box was palmed away by McGregor for a corner.

Lokeren were starting to show signs of increased confidence as mistakes began to creep into Hull’s play. Harry Maguire’s back pass to McGregor was solid but the goalkeeper tried to play his way out of trouble. He was closed down by Vanaken, who then rolled the ball into the empty net.

McGregor went some way to atoning for his mistake by producing two startling saves to deny De Pauw and then Junior Dutra from the resulting corner.